Systems of quasi-variational inequalities related to the switching problem

DOI10.1016/J.SPA.2018.04.008zbMATH Open1419.35058arXiv1609.02221OpenAlexW2963191265WikidataQ129866626 ScholiaQ129866626MaRDI QIDQ2419971FDOQ2419971

Authors: Tomasz Klimsiak 

Publication date: 4 June 2019

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We prove the existence of weak solution for a system of quasi-variational inequalities related to a switching problem with dynamic driven by operator associated with a semi-Dirichlet form and with measure data. We give a stochastic representation of solutions in terms of solutions of a system of reflected BSDEs with oblique reflection. As a by-product, we prove the existence of an optimal strategy in the switching problem and show regularity of the payoff function.

Full work available at URL: https://arxiv.org/abs/1609.02221

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zbMATH Keywords

quasi-variational inequalitiesswitching problemsemi-Dirichlet formspenalization scheme

Mathematics Subject Classification ID

Dirichlet forms (31C25) Singular elliptic equations (35J75) Probabilistic potential theory (60J45)

Cites Work

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Cited In (10)

• Systems of BSDES with oblique reflection and related optimal switching problems
• System of variational inequalities with interconnected obstacles
• Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games
• Comparison theorems for viscosity solutions of a system of quasivariational inequalities with application to optimal control with switching costs
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• Systems of fully nonlinear parabolic obstacle problems with Neumann boundary conditions
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• Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space
• Dirichlet problem for semilinear partial integro-differential equations: the method of orthogonal projection
• Title not available (Why is that?)

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